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題名 紀律與處置效果：以臺灣期貨市場為例
Discipline and Disposition Effect：Evidence from the Taiwan Futures Exchange
作者 盧逸唐
Lu, Yi Tang
貢獻者 周冠男
Robin K. Chou
盧逸唐
Lu, Yi Tang
關鍵詞 紀律
處置效果
行為財務
discipline
disposition effect
behavioral finance
日期 2015
上傳時間 14-Jul-2015 10:37:29 (UTC+8)
摘要 Previous research suggests that the disposition effect is a costly behavioral bias. A study argues that market professionals usually use the term ‘discipline’ to indicate trading strategies that minimize the influence of the disposition effect. In this paper, we examine two hypotheses. First, we test whether discipline could minimize the influence of the disposition effect on trading performance among individual investors. Second, we examine whether the influence of the disposition effect on trading performance under different levels of discipline. Using the dataset from TAIFEX, we show that the discipline measurement we used is more suitable for professional investors than amateurs. Furthermore, we demonstrate that under different levels of discipline, the influence of the disposition effect on trading performance will be different. Investors who exhibit a high level of discipline and a low level of disposition effect tend to have better trading performance.
參考文獻 (1) Choe, Hyuk, and Yunsung Eom. "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29.6 (2009): 496-522.
(2) Dhar, R., and Zhu, N, 2006. Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52(5), 726-740.
(3) Feng, L., and Seasholes, M.S., 2005, Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance 9, 305-351.
(4) Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?. Journal of Banking & Finance, 28(2), 353-372.
(5) Kahneman. D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.
(6) Li, H.C., Lin, C.H., Cheng, T.Y., and Lai, S., 2013. How Different Types of Traders Behavior in the Taiwan Futures Market, Journal of Futures Markets, 33(12), 1097-1117.
(7) Locke, P. R., and Mann, S.C., 2005. Professional Trader Discipline and Trade Disposition, Journal of Financial Economics, 76(2), 401-444.
(8) Nicolosi, G., Peng, L., and Zhu, N, 2009. Do Individual Investors Learn from Their Trading Experience? Journal of Financial Markets, 12(2), 317-336.
(9) Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53(5), 1775-1798.
(10) Seru, A., Shumway, T., and Stoffman, N., 2010. Learning by Trading, Review of Financial Studies, 23(2), 705-739.
(11) Shefrin, H., and Statman, M., 1985. Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance, 40(3), 777-790.
(12) Shu, P. G., Yeh, Y. H., Chiu, Sheam. B., and Chen, H.C., 2005. Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal, 13(2), 201-223.
(13) Weber, M., and Camerer, C., 1998. The disposition effect in Securities Trading: An Experimental Analysis. Journal of Economic Behavior and Organization, 33(2), 167-184.
描述 碩士
國立政治大學
財務管理研究所
102357013
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357013
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Robin K. Chouen_US
dc.contributor.author (Authors) 盧逸唐zh_TW
dc.contributor.author (Authors) Lu, Yi Tangen_US
dc.creator (作者) 盧逸唐zh_TW
dc.creator (作者) Lu, Yi Tangen_US
dc.date (日期) 2015en_US
dc.date.accessioned 14-Jul-2015 10:37:29 (UTC+8)-
dc.date.available 14-Jul-2015 10:37:29 (UTC+8)-
dc.date.issued (上傳時間) 14-Jul-2015 10:37:29 (UTC+8)-
dc.identifier (Other Identifiers) G0102357013en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76585-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 102357013zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) Previous research suggests that the disposition effect is a costly behavioral bias. A study argues that market professionals usually use the term ‘discipline’ to indicate trading strategies that minimize the influence of the disposition effect. In this paper, we examine two hypotheses. First, we test whether discipline could minimize the influence of the disposition effect on trading performance among individual investors. Second, we examine whether the influence of the disposition effect on trading performance under different levels of discipline. Using the dataset from TAIFEX, we show that the discipline measurement we used is more suitable for professional investors than amateurs. Furthermore, we demonstrate that under different levels of discipline, the influence of the disposition effect on trading performance will be different. Investors who exhibit a high level of discipline and a low level of disposition effect tend to have better trading performance.zh_TW
dc.description.tableofcontents 1. Introduction 1
1.1 Motivation 1
1.2 Objective 2
1.3 Outline 3
2. Literature Review 4
2.1 Prospect Theory 4
2.2 Disposition Effect 6
2.3 Discipline 9
3. Data and Methodology 10
3.1 Data Description 10
3.2 Research Methodology 11
3.3 Hypotheses Development 16
4. Empirical Results 18
4.1 Investor’s characteristic of disposition effect and discipline 18
4.2 Could discipline help reduce the influence of the disposition effect on trading performance 22
4.3 Regression Analysis 29
5. Conclusion 34
6. References 36		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357013en_US
dc.subject (關鍵詞) 紀律zh_TW
dc.subject (關鍵詞) 處置效果zh_TW
dc.subject (關鍵詞) 行為財務zh_TW
dc.subject (關鍵詞) disciplineen_US
dc.subject (關鍵詞) disposition effecten_US
dc.subject (關鍵詞) behavioral financeen_US
dc.title (題名) 紀律與處置效果：以臺灣期貨市場為例zh_TW
dc.title (題名) Discipline and Disposition Effect：Evidence from the Taiwan Futures Exchangeen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) (1) Choe, Hyuk, and Yunsung Eom. "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29.6 (2009): 496-522.
(2) Dhar, R., and Zhu, N, 2006. Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52(5), 726-740.
(3) Feng, L., and Seasholes, M.S., 2005, Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance 9, 305-351.
(4) Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?. Journal of Banking & Finance, 28(2), 353-372.
(5) Kahneman. D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.
(6) Li, H.C., Lin, C.H., Cheng, T.Y., and Lai, S., 2013. How Different Types of Traders Behavior in the Taiwan Futures Market, Journal of Futures Markets, 33(12), 1097-1117.
(7) Locke, P. R., and Mann, S.C., 2005. Professional Trader Discipline and Trade Disposition, Journal of Financial Economics, 76(2), 401-444.
(8) Nicolosi, G., Peng, L., and Zhu, N, 2009. Do Individual Investors Learn from Their Trading Experience? Journal of Financial Markets, 12(2), 317-336.
(9) Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53(5), 1775-1798.
(10) Seru, A., Shumway, T., and Stoffman, N., 2010. Learning by Trading, Review of Financial Studies, 23(2), 705-739.
(11) Shefrin, H., and Statman, M., 1985. Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance, 40(3), 777-790.
(12) Shu, P. G., Yeh, Y. H., Chiu, Sheam. B., and Chen, H.C., 2005. Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal, 13(2), 201-223.
(13) Weber, M., and Camerer, C., 1998. The disposition effect in Securities Trading: An Experimental Analysis. Journal of Economic Behavior and Organization, 33(2), 167-184.		zh_TW